And can you, please, explain how to do this, i've tried, but whenever i try to redeem a code it say's it's invalid and i guess the code should be a prepaid card code. My micsosoft account is set as U.S. Personal.

To the best of my knowledge this game cannot be activated and downloaded through GFWL in this way. You need to download and install the files from GamersGate then activate on GFWL from within the game.

The two episodes are seperate purchases available here on GG as Ballad of Gay Tony and Lost & The Damned. Buying either will give you a code to redeem on GFWL and then you launch them through GTAIV. Episodes from Liberty City is a standalone product and cannot be activated in GTAIV. There are some benefits to both. If you buy them as DLC then it saves a lot of HDD space as both EFLC and GTAIV come in around 50GB but using the DLC in GTAIV rounds out at about 30GB. However if you have the standalone EFLC then you get 3 new radio stations.